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Sara wrote:
I would like to compare coefficients accross models within a seemingly unrelated regression (SUR) model and with interactions.
Consider, e.g. the following SUR regression: sureg (Y x1 x2 controls) (Z x1 x2 controls).
As far as I understand, I can test whether size differences are significant with the wald test: Test [Y]x1= [Z]x1
My "problem" now is, that x1 interacts with x2 in one of the regressions:
sureg (Y x1 x2 x3 controls) (Z x1 x2 controls). where x3 = x1*x2
If I now want to compare whether size differences are significant, i can run
Test [Y]x1 + [Y]x3= [Z] x1, where x3 = x1*x2.
The test indicates a significant difference, however I am not sure whether the result is reliable since I created the interaction term manually.
I also tried the command Test [Y]x1 + [Y]x1#[Y]x2= [Z] x1, but it does not work. Is there another way to test whether the coefficients differ significantly when there is an interaction or is the Wald test how I ran it appropriate?
With some excellent help from Stata tech support, here is one solution:
webuse grunfeld,clear
keep if company<3
reshape wide invest mvalue kstock, i(year) j(company)
sureg (invest1 kstock1 mvalue1) (invest2 c.kstock2##c.mvalue2)
margins, dydx(_all) post ///
expression(predict(equation(invest1))+predict(equation(invest2)))
test kstock1 = kstock2
test mvalue1 = mvalue2
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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